Trend-Following Backtester · Guide · backtest 한국어
equity · US
Inspire Medical Systems, Inc. backtest
10 trend-following strategies were compared on the full daily history of Inspire Medical Systems, Inc.. 5 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 10.4%, MDD -54.2%).
Results by strategy
5 of 10 beat buy and hold (CAGR 8.8%, drawdown -87.7%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 11.9%, MDD -54.2%, Sharpe 0.48, 50% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 3.1%p higher than buy and hold, while drawdown improves by 33.5%p (CAGR 10.4%, MDD -54.2%, exposure 71%).
The alternative must retain 75% of buy-and-hold CAGR, improve drawdown by at least 20% and 5 percentage points, and stay below 95% exposure; the ranking weights return retention 60% and drawdown improvement 40%.
| Strategy · parameters | CAGR | MDD | Sharpe | Calmar | Total | Trades | Exposure |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=135, slow=183 |
11.9% | -54.2% | 0.48 | 0.22 | 2.5x | 4 | 50% |
| 볼린저 밴드 돌파 n=14, k=3.2 |
3.2% | -9.7% | 0.47 | 0.33 | 1.3x | 6 | 3% |
| Supertrend period=25, mult=2.9 |
11.2% | -67.9% | 0.47 | 0.17 | 2.4x | 51 | 52% |
| Donchian 채널 돌파 entryN=23, exitN=78 |
10.4% | -54.2% | 0.45 | 0.19 | 2.3x | 17 | 71% |
| SMA 크로스오버 fast=10, slow=28 |
10.2% | -63.2% | 0.44 | 0.16 | 2.2x | 71 | 54% |
| ROC 모멘텀 n=128, threshold=0.04 |
9.2% | -58.7% | 0.43 | 0.16 | 2.1x | 56 | 51% |
| Keltner 채널 돌파 emaPeriod=26, atrPeriod=12, mult=1.1 |
6.8% | -62.5% | 0.37 | 0.11 | 1.7x | 79 | 43% |
| MACD fast=19, slow=54, signal=12 |
2.6% | -78.0% | 0.28 | 0.03 | 1.2x | 83 | 52% |
| Parabolic SAR step=0.015, maxStep=0.38 |
2.4% | -85.9% | 0.27 | 0.03 | 1.2x | 148 | 52% |
| ADX / DI 방향성 period=20, threshold=13 |
-2.7% | -59.9% | 0.13 | -0.04 | 0.8x | 120 | 48% |
| Buy and hold | 8.8% | -87.7% | 0.45 | 0.10 | 2.0x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 135-day EMA crosses above the 183-day EMA
- Sell — Sell when the 135-day EMA falls below the 183-day EMA